Construct a trinomial tree for the hull-white model where, Financial Econometrics

Construct a trinomial tree for the hull-white model where

Suppose a = 0:05, σ = 0:015, and the term structure is flat at 10%. Construct a trinomial tree for the Hull-White model where there are two time steps, each 1 year in length.

2. Calculate the price of a 2-year zero-coupon bond from the tree in Figure.

1662_Figure 2.jpg

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Financial Econometrics: Construct a trinomial tree for the hull-white model where

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Financial Econometrics: Construct a trinomial tree for the hull-white model where

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